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Searching for Irving Fisher

  • Kris James Mitchener
  • Marc D. Weidenmier

There is a long-standing debate as to whether the Fisher effect operated during the classical gold standard period. We break new ground on this question by developing a market-based measure of general inflation expectations during the gold standard. Since the gold-silver price ratio was widely used to track inflation during the gold standard period, we are able to derive a measure of inflation expectations using the interest-rate differential between Austrian silver and gold perpetuity bonds with identical terms. Our empirical evidence suggests that inflation expectations exhibited significant persistence at the weekly, monthly, and annual frequencies. We also find that market participants updated long-run inflation expectations following short-run changes in the forward silver price of gold. The evidence suggests the operation of a long-run Fisher effect during the classical gold standard period.

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File URL: http://www.nber.org/papers/w15670.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 15670.

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Date of creation: Jan 2010
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Handle: RePEc:nbr:nberwo:15670
Note: DAE ME
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  1. Daniel K. Benjamin & Levis A. Kochin, 1984. "War, Prices, and Interest Rates: A Martial Solution to Gibson's Paradox," NBER Chapters, in: A Retrospective on the Classical Gold Standard, 1821-1931, pages 587-612 National Bureau of Economic Research, Inc.
  2. Barry Eichengreen & Ricardo Hausmann, 1999. "Exchange Rates and Financial Fragility," NBER Working Papers 7418, National Bureau of Economic Research, Inc.
  3. Michael D. Bordo & Christopher Meissner & Angela Redish, 2003. "How "Original Sin" was Overcome: The Evolution of External Debt Denominated in Domestic Currencies in the United States and the British Dominions," NBER Working Papers 9841, National Bureau of Economic Research, Inc.
  4. Mishkin, Frederic S., 1992. "Is the Fisher effect for real? : A reexamination of the relationship between inflation and interest rates," Journal of Monetary Economics, Elsevier, vol. 30(2), pages 195-215, November.
  5. Burdekin, R.C.K. & Siklos, P.L., 1997. "Exchange Rate Regimes and Shfts in Inflation Persistence: Does Nothing Else Matter?," Working Papers 97-2, Wilfrid Laurier University, Department of Economics.
  6. Harley, C. Knick, 1977. "The interest rate and prices in Britain, 1873-1913: A study of the Gibson Paradox," Explorations in Economic History, Elsevier, vol. 14(1), pages 69-89, January.
  7. Taufiq Choudhry, 1996. "The Fisher effect and the gold standard: evidence from the USA," Applied Economics Letters, Taylor & Francis Journals, vol. 3(8), pages 553-555.
  8. Barsky, Robert B., 1987. "The Fisher hypothesis and the forecastability and persistence of inflation," Journal of Monetary Economics, Elsevier, vol. 19(1), pages 3-24, January.
  9. Refet S. G├╝rkaynak & Brian Sack & Eric Swanson, 2005. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models," American Economic Review, American Economic Association, vol. 95(1), pages 425-436, March.
  10. Bordo Michael D. & Kydland Finn E., 1995. "The Gold Standard As a Rule: An Essay in Exploration," Explorations in Economic History, Elsevier, vol. 32(4), pages 423-464, October.
  11. Perez, Stephen J & Siegler, Mark V, 2003. " Inflationary Expectations and the Fisher Effect prior to World War I," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(6), pages 947-65, December.
  12. Shiller, Robert J & Siegel, Jeremy J, 1977. "The Gibson Paradox and Historical Movements in Real Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 891-907, October.
  13. Richard H. Steckel & Richard A. Jensen, 1985. "Determinants of Slave and Crew Mortality in the Atlantic Slave Trade," NBER Working Papers 1540, National Bureau of Economic Research, Inc.
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